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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2011
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013119324
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013141467
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Non-market interaction in primary equity markets : evidence from France and Germany
Stolpe, Michael - 2004
Persistent link: https://www.econbiz.de/10002092797
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Dual listed stocks and asymmetric volatility spillover : the case of UK, Germany and France
Asimakopoulos, Ioannis - 1997
Persistent link: https://www.econbiz.de/10000979098
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Non-market interaction in primary equity markets : evidence from France and Germany
Stolpe, Michael - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002059028
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Volatility spillovers across equity markets : European evidence
Kanas, Angelos - In: Applied financial economics 8 (1998) 3, pp. 245-256
Persistent link: https://www.econbiz.de/10001244168
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Volatility spillover between Germany, France, and CEE stock markets
Chirilă, Viorica; Chirilă, Ciprian - In: Journal of business economics and management 23 (2022) 6, pp. 1280-1298
financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … among the stock markets in the countries from Central and East Europe (CEE) and Germany and France with the aim to identify … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical …
Persistent link: https://www.econbiz.de/10013500945
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Volatility behavior of exchange rate future contracts
Aguirre, Maria Sophia; Saidi, Reza - In: Atlantic economic journal : AEJ 28 (2000) 4, pp. 396-411
Persistent link: https://www.econbiz.de/10001536417
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Fundamentals and fads in exchange market volatility
Sengupta, Jati K. - In: Journal of foreign exchange and international finance : … 11 (1997) 2, pp. 129-140
Persistent link: https://www.econbiz.de/10001400870
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Intraday Volatility in International Stock Index Futures Markets : Meteor Showers or Heat Waves?
Booth, G. Geoffrey; Chowdhury, Mustafa; Martikainen, Teppo - 2022
The international transmission of intraday price volatility among the United States, United Kingdom, and Japanese stock … hypothesis is not rejected for theJapanese market, meaning that the shocks to Japanese volatility are mostly country-specific. A …
Persistent link: https://www.econbiz.de/10013309647